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Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations

Citations

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Cited by:

  1. Chung-Yi Tse & Yujing Xu, 2021. "Inter-Dealer Trades in OTC Markets - Who Buys and Who Sells?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 220-257, January.
  2. Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2019. "Asset Issuance in Over-the-Counter Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 4-29, July.
  3. Joseph, Andreas & Vasios, Michalis, 2022. "OTC Microstructure in a period of stress: A Multi-layered network approach," Journal of Banking & Finance, Elsevier, vol. 138(C).
  4. Shuo Liu, 2024. "Social Optimal Search Intensity in Over-the-Counter Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 53, pages 224-282, July.
  5. Jean-Edouard Colliard & Gabrielle Demange, 2021. "Asset Dissemination Through Dealer Markets," Management Science, INFORMS, vol. 67(10), pages 6211-6234, October.
  6. Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff, 2019. "Municipal Bond Markets," Annual Review of Financial Economics, Annual Reviews, vol. 11(1), pages 65-84, December.
  7. Robert Czech & Gábor Pintér, 2020. "Informed Trading and the Dynamics of Client-Dealer Connections in Corporate Bond Markets," Discussion Papers 2032, Centre for Macroeconomics (CFM).
  8. Dalla Fontana, Silvia & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," Working Paper Series 2242, European Central Bank.
  9. Schultz, Paul & Song, Zhaogang, 2019. "Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage backed security market," Journal of Financial Economics, Elsevier, vol. 133(1), pages 113-133.
  10. Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024. "Size Discount and Size Penalty: Trading Costs in Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
  11. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
  12. Kromidha, Endrit & Li, Matthew C., 2019. "Determinants of leadership in online social trading: A signaling theory perspective," Journal of Business Research, Elsevier, vol. 97(C), pages 184-197.
  13. Jérôme Dugast & Semih Üslü & Pierre-Olivier Weill, 2022. "A Theory of Participation in OTC and Centralized Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(6), pages 3223-3266.
  14. Friewald, Nils & Nagler, Florian, 2018. "Over-the-Counter Market Frictions and Yield Spread Changes," CEPR Discussion Papers 13345, C.E.P.R. Discussion Papers.
  15. Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2022. "An Information-based Theory of Financial Intermediation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2381-2444.
  16. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
    • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
  17. Wang, Chaojun, 2023. "The limits of multi-dealer platforms," Journal of Financial Economics, Elsevier, vol. 149(3), pages 434-450.
  18. Hu, May & Park, Jason & Chen, Jane & Verhoevenc, Peter, 2022. "Cross-market informed trading in the CDS and option markets," Global Finance Journal, Elsevier, vol. 54(C).
  19. Hu, May & Narayan, Paresh & Park, Jason & Verhoeven, Peter, 2022. "Informed trading in the CDS and OTM put option markets," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 353-367.
  20. Gabrovski, Miroslav & Kospentaris, Ioannis, 2021. "Intermediation in over-the-counter markets with price transparency," Journal of Economic Theory, Elsevier, vol. 198(C).
  21. Song, Zhaogang & Zhu, Haoxiang, 2018. "Quantitative easing auctions of Treasury bonds," Journal of Financial Economics, Elsevier, vol. 128(1), pages 103-124.
  22. Mallaburn, David & Roberts-Sklar, Matt & Silvestri, Laura, 2019. "Resilience of trading networks: evidence from the sterling corporate bond market," Bank of England working papers 813, Bank of England.
  23. Box, Travis & Davis, Ryan & Evans, Richard & Lynch, Andrew, 2021. "Intraday arbitrage between ETFs and their underlying portfolios," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1078-1095.
  24. Garratt, Rodney & Zimmerman, Peter, 2020. "Centralized netting in financial networks," Journal of Banking & Finance, Elsevier, vol. 112(C).
  25. Lebeau, Lucie, 2020. "Credit frictions and participation in over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 189(C).
  26. Artem Neklyudov, 2019. "Bid-Ask Spreads and the Over-the-Counter Interdealer Markets: Core and Peripheral Dealers," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 57-84, July.
  27. Jérôme Dugast & Semih Uslu & Pierre-Olivier Weil, 2018. "Platform Trading with an OTC Market Fringe," Post-Print hal-02104107, HAL.
  28. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
  29. Andrea Eisfeldt & Bernard Herskovic & Sriram Rajan & Emil Siriwardane, 2018. "OTC Intermediaries," Working Papers 18-05, Office of Financial Research, US Department of the Treasury.
  30. Glode, Vincent & Opp, Christian C. & Sverchkov, Ruslan, 2022. "To pool or not to pool? Security design in OTC markets," Journal of Financial Economics, Elsevier, vol. 145(2), pages 508-526.
  31. Jean-Edouard Colliard & Thierry Foucault & Peter Hoffmann, 2018. "Inventory Management, Dealers' Connections, and Prices in OTC Markets," Working Papers hal-01933855, HAL.
  32. Andrea Eisfeldt & Bernard Herskovic & Emil Siriwardane & Sriram Rajan, 2019. "OTC Intermediaries," 2019 Meeting Papers 204, Society for Economic Dynamics.
  33. Joseph, Andreas & Vasios, Michalis & Maizels, Olga & Shreyas, Ujwal & Tanner, John, 2019. "OTC microstructure in a period of stress: a multi‑layered network approach," Bank of England working papers 832, Bank of England.
  34. Lewis, Kurt F. & Longstaff, Francis A. & Petrasek, Lubomir, 2021. "Asset mispricing," Journal of Financial Economics, Elsevier, vol. 141(3), pages 981-1006.
  35. Christopoulos, Andreas D. & Barratt, Joshua G. & Ilut, Daniel C., 2024. "Synthetic cap rate indices (1991-Covid era)," Global Finance Journal, Elsevier, vol. 60(C).
  36. Jean-Sébastien Fontaine & Adrian Walton, 2020. "Contagion in Dealer Networks," Staff Working Papers 20-1, Bank of Canada.
  37. Michael A. Goldstein & Edith S. Hotchkiss & David J. Pedersen, 2019. "Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds," JRFM, MDPI, vol. 12(2), pages 1-17, May.
  38. HORIKAWA Takumi & MATSUI Yujiro & GEMMA Yasufumi, 2021. "A Network Analysis of the JGB Repo Market," Bank of Japan Working Paper Series 21-E-14, Bank of Japan.
  39. Kamate, Vidya & Kumar, Abhishek, 2024. "Dealer networks, client sophistication and pricing in OTC derivatives," Journal of International Money and Finance, Elsevier, vol. 140(C).
  40. Goldstein, Michael A. & Hotchkiss, Edith S., 2020. "Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 16-40.
  41. Awaya, Yu & Iwasaki, Kohei & Watanabe, Makoto, 2022. "Rational bubbles and middlemen," Theoretical Economics, Econometric Society, vol. 17(4), November.
  42. Glode, Vincent & Opp, Christian C. & Zhang, Xingtan, 2018. "Voluntary disclosure in bilateral transactions," Journal of Economic Theory, Elsevier, vol. 175(C), pages 652-688.
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